The Void
The Void, also known as the Void Between Worlds, was the empty, liminal “space” in-between the various dimensions making up the multiverse.
Cosmology
Many methods of dimension-travelling, such as those utilising Void Ships, relied on physically crossing through the Void on the way from one world to the next, although this did not appear to be the case of Jenny Everywhere's shifting.
The Void was not as empty as the name might have suggested, constantly being criss-crossed by an arbitrary number of dimensional travellers in various contraptions. It was also the forced residence of various eldritch beings who had been banished from their native realities, and a few landmarks, such as an Interdimensional Tavern, somehow existed as well. (COMIC: Jenny Everywhere Meets The Crew Of The Copper-Colored Cupids)
Behind the scenes
The “Void Between the Worlds” is a standard science-fiction concept. Notable uses of it include the Lovecraftian mythos (which calls it the Audient Void) or Doctor Who (where it is known as "the Void” or “the Howling”). The version of the Void seen in COMIC: Jenny Everywhere Meets The Crew Of The Copper-Colored Cupids was, of course, the version recurring in the solo adventures of The Crew of the Copper-Colored Cupids.